Historical dat for monte carlo simulation

DanfferNR · March 4th, 2002, 8:27 pm

Hello, I hope some one could help me with this. I am doing a monte Carlo Simulation using Crystal Ball, the portfolio that I am using for this porpuse has bonds and I have to decide about which variable is better to be include as part of my historical data, prices or interest rates. Does duration have to do some thing with this? Hope someone could help. Thanks.

Aaron · March 5th, 2002, 8:01 pm

I don't know Crystal Ball, but it usually makes sense to simulate interest rates, because the same interest rate change will affect different bonds differently, and a bond's response to interest rates will change over its life.